[trades]
DataFrame
{"shape":[9,13],"dtypes":{"datetime":"object","trading_datetime":"object","order_book_id":"object","symbol":"object","side":"object","position_effect":"object","exec_id":"int64","tax":"int64","commission":"float64","last_quantity":"int64","last_price":"float64","order_id":"int64","transaction_cost":"float64"},"index_dtype":"datetime64[ns]","index_name":"datetime","columns":["datetime","trading_datetime","order_book_id","symbol","side","position_effect","exec_id","tax","commission","last_quantity","last_price","order_id","transaction_cost"]}
,datetime,trading_datetime,order_book_id,symbol,side,position_effect,exec_id,tax,commission,last_quantity,last_price,order_id,transaction_cost
2015-01-09 15:00:00,2015-01-09 15:00:00,2015-01-09 15:00:00,IF88,股指主力连续,BUY,OPEN,17575569970000,0,26.777520000000003,1,3528.0,17575569970000,26.777520000000003
2015-01-12 15:00:00,2015-01-12 15:00:00,2015-01-12 15:00:00,IF88,股指主力连续,BUY,OPEN,17575569970001,0,26.850384000000002,1,3537.6,17575569970001,26.850384000000002
2015-01-13 15:00:00,2015-01-13 15:00:00,2015-01-13 15:00:00,IF88,股指主力连续,BUY,OPEN,17575569970002,0,26.789664000000002,1,3529.6,17575569970002,26.789664000000002
2015-01-14 15:00:00,2015-01-14 15:00:00,2015-01-14 15:00:00,IF88,股指主力连续,BUY,OPEN,17575569970003,0,26.596878,1,3504.2,17575569970003,26.596878
2015-01-15 15:00:00,2015-01-15 15:00:00,2015-01-15 15:00:00,IF88,股指主力连续,BUY,OPEN,17575569970004,0,27.51375,1,3625.0,17575569970004,27.51375
2015-01-16 15:00:00,2015-01-16 15:00:00,2015-01-16 15:00:00,IF88,股指主力连续,BUY,OPEN,17575569970005,0,27.834048000000003,1,3667.2,17575569970005,27.834048000000003
2015-01-19 15:00:00,2015-01-19 15:00:00,2015-01-19 15:00:00,IF88,股指主力连续,BUY,OPEN,17575569970006,0,25.169958,1,3316.2,17575569970006,25.169958
2015-01-22 15:00:00,2015-01-22 15:00:00,2015-01-22 15:00:00,IF88,股指主力连续,BUY,OPEN,17575569970007,0,27.029508000000003,1,3561.2,17575569970009,27.029508000000003
2015-01-27 15:00:00,2015-01-27 15:00:00,2015-01-27 15:00:00,IF88,股指主力连续,BUY,OPEN,17575569970008,0,27.131214000000003,1,3574.6,17575569970012,27.131214000000003

[future_positions]
DataFrame
{"shape":[37,10],"dtypes":{"order_book_id":"object","symbol":"object","margin":"float64","contract_multiplier":"float64","last_price":"float64","LONG_pnl":"float64","LONG_margin":"float64","LONG_market_value":"float64","LONG_quantity":"float64","LONG_avg_open_price":"float64"},"index_dtype":"datetime64[ns]","index_name":"date","columns":["order_book_id","symbol","margin","contract_multiplier","last_price","LONG_pnl","LONG_margin","LONG_market_value","LONG_quantity","LONG_avg_open_price"]}
,order_book_id,symbol,margin,contract_multiplier,last_price,LONG_pnl,LONG_margin,LONG_market_value,LONG_quantity,LONG_avg_open_price
2015-01-09 00:00:00,IF88,股指主力连续,127008.0,300.0,3528.0,0.0,127008.0,1058400.0,1.0,3528.0
2015-01-12 00:00:00,IF88,股指主力连续,254707.2,300.0,3537.6,0.0,254707.2,2122560.0,2.0,3537.6
2015-01-13 00:00:00,IF88,股指主力连续,381196.8,300.0,3529.6,0.0,381196.8,3176640.0,3.0,3529.6
2015-01-14 00:00:00,IF88,股指主力连续,504604.8,300.0,3504.2,0.0,504604.8,4205040.0,4.0,3504.2
2015-01-15 00:00:00,IF88,股指主力连续,652500.0,300.0,3625.0,0.0,652500.0,5437500.0,5.0,3625.0
2015-01-16 00:00:00,IF88,股指主力连续,792115.2,300.0,3667.2,0.0,792115.2,6600960.0,6.0,3667.2
2015-01-19 00:00:00,IF88,股指主力连续,835682.4,300.0,3316.2,0.0,835682.4,6964020.0,7.0,3316.2
2015-01-20 00:00:00,IF88,股指主力连续,855388.8,300.0,3394.4,0.0,855388.8,7128240.0,7.0,3394.4
2015-01-21 00:00:00,IF88,股指主力连续,893592.0,300.0,3546.0,0.0,893592.0,7446600.0,7.0,3546.0
2015-01-22 00:00:00,IF88,股指主力连续,1025625.6,300.0,3561.2,0.0,1025625.6,8546880.0,8.0,3561.2
2015-01-23 00:00:00,IF88,股指主力连续,1035936.0,300.0,3597.0,0.0,1035936.0,8632800.0,8.0,3597.0
2015-01-26 00:00:00,IF88,股指主力连续,1044518.4,300.0,3626.8,0.0,1044518.4,8704320.0,8.0,3626.8
2015-01-27 00:00:00,IF88,股指主力连续,1158170.4,300.0,3574.6,0.0,1158170.4,9651420.0,9.0,3574.6
2015-01-28 00:00:00,IF88,股指主力连续,1141646.4,300.0,3523.6,0.0,1141646.4,9513720.0,9.0,3523.6
2015-01-29 00:00:00,IF88,股指主力连续,1131926.4,300.0,3493.6,0.0,1131926.4,9432720.0,9.0,3493.6
2015-01-30 00:00:00,IF88,股指主力连续,1111060.8,300.0,3429.2,0.0,1111060.8,9258840.0,9.0,3429.2
2015-02-02 00:00:00,IF88,股指主力连续,1100628.0,300.0,3397.0,0.0,1100628.0,9171900.0,9.0,3397.0
2015-02-03 00:00:00,IF88,股指主力连续,1119549.6,300.0,3455.4,0.0,1119549.6,9329580.0,9.0,3455.4
2015-02-04 00:00:00,IF88,股指主力连续,1099008.0,300.0,3392.0,0.0,1099008.0,9158400.0,9.0,3392.0
2015-02-05 00:00:00,IF88,股指主力连续,1087084.8,300.0,3355.2,0.0,1087084.8,9059040.0,9.0,3355.2
2015-02-06 00:00:00,IF88,股指主力连续,1083650.4,300.0,3344.6,0.0,1083650.4,9030420.0,9.0,3344.6
2015-02-09 00:00:00,IF88,股指主力连续,1093888.8,300.0,3376.2,0.0,1093888.8,9115740.0,9.0,3376.2
2015-02-10 00:00:00,IF88,股指主力连续,1113717.6,300.0,3437.4,0.0,1113717.6,9280980.0,9.0,3437.4
2015-02-11 00:00:00,IF88,股指主力连续,1116828.0,300.0,3447.0,0.0,1116828.0,9306900.0,9.0,3447.0
2015-02-12 00:00:00,IF88,股指主力连续,1119679.2,300.0,3455.8,0.0,1119679.2,9330660.0,9.0,3455.8
2015-02-13 00:00:00,IF88,股指主力连续,1134000.0,300.0,3500.0,0.0,1134000.0,9450000.0,9.0,3500.0
2015-02-16 00:00:00,IF88,股指主力连续,1148515.2,300.0,3544.8,0.0,1148515.2,9570960.0,9.0,3544.8
2015-02-17 00:00:00,IF88,股指主力连续,1152792.0,300.0,3558.0,0.0,1152792.0,9606600.0,9.0,3558.0
2015-02-25 00:00:00,IF88,股指主力连续,1130047.2,300.0,3487.8,0.0,1130047.2,9417060.0,9.0,3487.8
2015-02-26 00:00:00,IF88,股指主力连续,1170482.4,300.0,3612.6,0.0,1170482.4,9754020.0,9.0,3612.6
2015-02-27 00:00:00,IF88,股指主力连续,1162252.8,300.0,3587.2,0.0,1162252.8,9685440.0,9.0,3587.2
2015-03-02 00:00:00,IF88,股指主力连续,1168408.8,300.0,3606.2,0.0,1168408.8,9736740.0,9.0,3606.2
2015-03-03 00:00:00,IF88,股指主力连续,1146830.4,300.0,3539.6,0.0,1146830.4,9556920.0,9.0,3539.6
2015-03-04 00:00:00,IF88,股指主力连续,1144756.8,300.0,3533.2,0.0,1144756.8,9539640.0,9.0,3533.2
2015-03-05 00:00:00,IF88,股指主力连续,1136138.4,300.0,3506.6,0.0,1136138.4,9467820.0,9.0,3506.6
2015-03-06 00:00:00,IF88,股指主力连续,1130824.8,300.0,3490.2,0.0,1130824.8,9423540.0,9.0,3490.2
2015-03-09 00:00:00,IF88,股指主力连续,1154865.6,300.0,3564.4,0.0,1154865.6,9623880.0,9.0,3564.4

[future_account]
DataFrame
{"shape":[37,8],"dtypes":{"cash":"float64","transaction_cost":"float64","market_value":"float64","total_value":"float64","position_pnl":"float64","trading_pnl":"float64","daily_pnl":"float64","margin":"float64"},"index_dtype":"datetime64[ns]","index_name":"date","columns":["cash","transaction_cost","market_value","total_value","position_pnl","trading_pnl","daily_pnl","margin"]}
,cash,transaction_cost,market_value,total_value,position_pnl,trading_pnl,daily_pnl,margin
2015-01-09 00:00:00,872965.2225,26.7775,1058400.0,999973.2225,0.0,0.0,-26.7775,127008.0
2015-01-12 00:00:00,748119.1721,26.8504,2122560.0,1002826.3721,2880.0,0.0,2853.1496,254707.2
2015-01-13 00:00:00,616802.7824,26.7897,3176640.0,997999.5824,-4800.0,0.0,-4826.7897,381196.8
2015-01-14 00:00:00,470508.1856,26.5969,4205040.0,975112.9856,-22860.0,0.0,-22886.5969,504604.8
2015-01-15 00:00:00,467545.4718,27.5138,5437500.0,1120045.4718,144960.0,0.0,144932.4863,652500.0
2015-01-16 00:00:00,391202.4378,27.834,6600960.0,1183317.6378,63300.0,0.0,63272.166,792115.2
2015-01-19 00:00:00,-284189.9322,25.17,6964020.0,551492.4678,-631800.0,0.0,-631825.17,835682.4
2015-01-20 00:00:00,-139676.3322,0.0,7128240.0,715712.4678,164220.0,0.0,164220.0,855388.8
2015-01-21 00:00:00,140480.4678,0.0,7446600.0,1034072.4678,318360.0,0.0,318360.0,893592.0
2015-01-22 00:00:00,40339.8383,27.0295,8546880.0,1065965.4383,31920.0,0.0,31892.9705,1025625.6
2015-01-23 00:00:00,115949.4383,0.0,8632800.0,1151885.4383,85920.0,0.0,85920.0,1035936.0
2015-01-26 00:00:00,178887.0383,0.0,8704320.0,1223405.4383,71520.0,0.0,71520.0,1044518.4
2015-01-27 00:00:00,-60072.0929,27.1312,9651420.0,1098098.3071,-125280.0,0.0,-125307.1312,1158170.4
2015-01-28 00:00:00,-181248.0929,0.0,9513720.0,960398.3071,-137700.0,0.0,-137700.0,1141646.4
2015-01-29 00:00:00,-252528.0929,0.0,9432720.0,879398.3071,-81000.0,0.0,-81000.0,1131926.4
2015-01-30 00:00:00,-405542.4929,0.0,9258840.0,705518.3071,-173880.0,0.0,-173880.0,1111060.8
2015-02-02 00:00:00,-482049.6929,0.0,9171900.0,618578.3071,-86940.0,0.0,-86940.0,1100628.0
2015-02-03 00:00:00,-343291.2929,0.0,9329580.0,776258.3071,157680.0,0.0,157680.0,1119549.6
2015-02-04 00:00:00,-493929.6929,0.0,9158400.0,605078.3071,-171180.0,0.0,-171180.0,1099008.0
2015-02-05 00:00:00,-581366.4929,0.0,9059040.0,505718.3071,-99360.0,0.0,-99360.0,1087084.8
2015-02-06 00:00:00,-606552.0929,0.0,9030420.0,477098.3071,-28620.0,0.0,-28620.0,1083650.4
2015-02-09 00:00:00,-531470.4929,0.0,9115740.0,562418.3071,85320.0,0.0,85320.0,1093888.8
2015-02-10 00:00:00,-386059.2929,0.0,9280980.0,727658.3071,165240.0,0.0,165240.0,1113717.6
2015-02-11 00:00:00,-363249.6929,0.0,9306900.0,753578.3071,25920.0,0.0,25920.0,1116828.0
2015-02-12 00:00:00,-342340.8929,0.0,9330660.0,777338.3071,23760.0,0.0,23760.0,1119679.2
2015-02-13 00:00:00,-237321.6929,0.0,9450000.0,896678.3071,119340.0,0.0,119340.0,1134000.0
2015-02-16 00:00:00,-130876.8929,0.0,9570960.0,1017638.3071,120960.0,0.0,120960.0,1148515.2
2015-02-17 00:00:00,-99513.6929,0.0,9606600.0,1053278.3071,35640.0,0.0,35640.0,1152792.0
2015-02-25 00:00:00,-266308.8929,0.0,9417060.0,863738.3071,-189540.0,0.0,-189540.0,1130047.2
2015-02-26 00:00:00,30215.9071,0.0,9754020.0,1200698.3071,336960.0,0.0,336960.0,1170482.4
2015-02-27 00:00:00,-30134.4929,0.0,9685440.0,1132118.3071,-68580.0,0.0,-68580.0,1162252.8
2015-03-02 00:00:00,15009.5071,0.0,9736740.0,1183418.3071,51300.0,0.0,51300.0,1168408.8
2015-03-03 00:00:00,-143232.0929,0.0,9556920.0,1003598.3071,-179820.0,0.0,-179820.0,1146830.4
2015-03-04 00:00:00,-158438.4929,0.0,9539640.0,986318.3071,-17280.0,0.0,-17280.0,1144756.8
2015-03-05 00:00:00,-221640.0929,0.0,9467820.0,914498.3071,-71820.0,0.0,-71820.0,1136138.4
2015-03-06 00:00:00,-260606.4929,0.0,9423540.0,870218.3071,-44280.0,0.0,-44280.0,1130824.8
2015-03-09 00:00:00,-84307.2929,0.0,9623880.0,1070558.3071,200340.0,0.0,200340.0,1154865.6

[portfolio]
DataFrame
{"shape":[37,6],"dtypes":{"cash":"float64","total_value":"float64","market_value":"float64","unit_net_value":"float64","units":"float64","static_unit_net_value":"float64"},"index_dtype":"datetime64[ns]","index_name":"date","columns":["cash","total_value","market_value","unit_net_value","units","static_unit_net_value"]}
,cash,total_value,market_value,unit_net_value,units,static_unit_net_value
2015-01-09 00:00:00,872965.2225,999973.2225,1058400.0,0.999973,1000000.0,1.0
2015-01-12 00:00:00,748119.1721,1002826.3721,2122560.0,1.002826,1000000.0,1.0
2015-01-13 00:00:00,616802.7824,997999.5824,3176640.0,0.998,1000000.0,1.0028
2015-01-14 00:00:00,470508.1856,975112.9856,4205040.0,0.975113,1000000.0,0.998
2015-01-15 00:00:00,467545.4718,1120045.4718,5437500.0,1.120045,1000000.0,0.9751
2015-01-16 00:00:00,391202.4378,1183317.6378,6600960.0,1.183318,1000000.0,1.12
2015-01-19 00:00:00,-284189.9322,551492.4678,6964020.0,0.551492,1000000.0,1.1833
2015-01-20 00:00:00,-139676.3322,715712.4678,7128240.0,0.715712,1000000.0,0.5515
2015-01-21 00:00:00,140480.4678,1034072.4678,7446600.0,1.034072,1000000.0,0.7157
2015-01-22 00:00:00,40339.8383,1065965.4383,8546880.0,1.065965,1000000.0,1.0341
2015-01-23 00:00:00,115949.4383,1151885.4383,8632800.0,1.151885,1000000.0,1.066
2015-01-26 00:00:00,178887.0383,1223405.4383,8704320.0,1.223405,1000000.0,1.1519
2015-01-27 00:00:00,-60072.0929,1098098.3071,9651420.0,1.098098,1000000.0,1.2234
2015-01-28 00:00:00,-181248.0929,960398.3071,9513720.0,0.960398,1000000.0,1.0981
2015-01-29 00:00:00,-252528.0929,879398.3071,9432720.0,0.879398,1000000.0,0.9604
2015-01-30 00:00:00,-405542.4929,705518.3071,9258840.0,0.705518,1000000.0,0.8794
2015-02-02 00:00:00,-482049.6929,618578.3071,9171900.0,0.618578,1000000.0,0.7055
2015-02-03 00:00:00,-343291.2929,776258.3071,9329580.0,0.776258,1000000.0,0.6186
2015-02-04 00:00:00,-493929.6929,605078.3071,9158400.0,0.605078,1000000.0,0.7763
2015-02-05 00:00:00,-581366.4929,505718.3071,9059040.0,0.505718,1000000.0,0.6051
2015-02-06 00:00:00,-606552.0929,477098.3071,9030420.0,0.477098,1000000.0,0.5057
2015-02-09 00:00:00,-531470.4929,562418.3071,9115740.0,0.562418,1000000.0,0.4771
2015-02-10 00:00:00,-386059.2929,727658.3071,9280980.0,0.727658,1000000.0,0.5624
2015-02-11 00:00:00,-363249.6929,753578.3071,9306900.0,0.753578,1000000.0,0.7277
2015-02-12 00:00:00,-342340.8929,777338.3071,9330660.0,0.777338,1000000.0,0.7536
2015-02-13 00:00:00,-237321.6929,896678.3071,9450000.0,0.896678,1000000.0,0.7773
2015-02-16 00:00:00,-130876.8929,1017638.3071,9570960.0,1.017638,1000000.0,0.8967
2015-02-17 00:00:00,-99513.6929,1053278.3071,9606600.0,1.053278,1000000.0,1.0176
2015-02-25 00:00:00,-266308.8929,863738.3071,9417060.0,0.863738,1000000.0,1.0533
2015-02-26 00:00:00,30215.9071,1200698.3071,9754020.0,1.200698,1000000.0,0.8637
2015-02-27 00:00:00,-30134.4929,1132118.3071,9685440.0,1.132118,1000000.0,1.2007
2015-03-02 00:00:00,15009.5071,1183418.3071,9736740.0,1.183418,1000000.0,1.1321
2015-03-03 00:00:00,-143232.0929,1003598.3071,9556920.0,1.003598,1000000.0,1.1834
2015-03-04 00:00:00,-158438.4929,986318.3071,9539640.0,0.986318,1000000.0,1.0036
2015-03-05 00:00:00,-221640.0929,914498.3071,9467820.0,0.914498,1000000.0,0.9863
2015-03-06 00:00:00,-260606.4929,870218.3071,9423540.0,0.870218,1000000.0,0.9145
2015-03-09 00:00:00,-84307.2929,1070558.3071,9623880.0,1.070558,1000000.0,0.8702

[summary]
dict
{}
{
    "strategy_name":"strategy",
    "start_date":"2015-01-09",
    "end_date":"2015-03-09",
    "starting_cash":"FUTURE:1000000.0",
    "alpha":NaN,
    "beta":NaN,
    "sharpe":1.6933878703661631,
    "excess_sharpe":NaN,
    "information_ratio":NaN,
    "tracking_error":NaN,
    "sortino":2.429657585855652,
    "volatility":2.972984351024144,
    "max_drawdown":0.610024369563978,
    "excess_max_drawdown":NaN,
    "excess_returns":NaN,
    "excess_annual_returns":NaN,
    "win_rate":0.5135135135135135,
    "total_value":1070558.3070760015,
    "cash":-84307.29292399832,
    "total_returns":0.07055830707600164,
    "annualized_returns":0.591000539217897,
    "unit_net_value":1.0705583070760016
}